• IG Becheri
  • Feike C. Drost
  • Ramon van den Akker
  • Oliver Wichert
We derive the power envelope for panel unit root tests where heterogeneous alternatives are modeled via zero-expectation random perturbations. We obtain an asymptotically UMP test and discuss how to proceed when one is agnostic about the expectation of the perturbations.
Original languageEnglish
Pages (from-to)1-8
Number of pages8
JournalStatistics & Probability Letters
Volume108
DOIs
Publication statusPublished - 2016

    Research areas

  • Panel unit root test, Local Asymptotic Normality, Limit experiment, Asymptotic power envelope

ID: 3479771